Citigroup to price 8%-9% notes linked to Celgene; Morgan Stanley brings unusual twin win notes

By Sheri Kasprzak

New York, Oct. 9 – New-issue action for structured products was light Friday, but a new crop of upcoming deals dominated headlines.

Among the more interesting offerings, Citigroup Inc. announced plans to price 8% to 9% single-observation Equity Linked Securities linked to the common stock of Celgene Corp., a Securities and Exchange Commission filing said.

The notes, due Nov. 3, 2016, pay par at maturity unless the final share price is less than 80% of the initial share price, in which case the payout will be a number of Celgene shares equal to $1,000 divided by the initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares.

Interest on the notes is payable monthly at a rate to be determined at pricing on Oct. 29.

Celgene’s stock closed down $0.59 at $117.38 (Nasdaq: CELG) on Friday.

RBC sets deal

Also coming up, Royal Bank of Canada is ready to price capped floating-rate notes on Oct. 13.

The notes are due Oct. 16, 2020, and interest will be Libor plus 87 basis points, subject to a maximum rate of 5% per year.

Payout at maturity is par.

Unusual twin win

Morgan Stanley priced $3.2 million of notes with a digital payout on the upside, a leveraged positive return if neither underlying index declines by more than 20% and a traditional buffer for any decline beyond that.

The 0% buffered securities due March 31, 2020 are linked to the worst performing of the S&P 500 index and the Russell 2000 index.

If each index finishes at or above its initial level, the payout at maturity will be par of $10 plus 42.702%.

If either index finishes below its initial level but each index’s final level is at least 80% of its initial level, the payout will be par plus 2.1351% for every 1% by which the final level of the worst-performing index exceeds 80% of its initial level.

If the final level of either index is less than 80% of its initial level, investors will lose 1% for every 1% that the worst-performing index declines beyond 20%.

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